Reset CMOS via your MoBo manual and try again. You'd be surprised how many issues that fixes
If you still have a problem, go into BIOS and set the CD/DVD Drive as the first boot device (as opposed to using the one-time boot screen). It's a good idea to keep the other HDD detached until XP is installed - it's easy enough to hook up later. How old is your XP disk, btw? Is it a Full Version or an Upgrade CD?